GM Financial’s first auto lease securitization of 2016 is a $1 billion transaction that encompasses higher average customer credit scores and more shorter-term contracts compared to previous GM lease ABS collateral pools.
GM Financial Automobile Leasing Trust 2016-1, consisting of 44,222 leasing contracts from General Motors’ captive finance arm, is being marketed in seven classes of notes, including four Class A tranches totaling $891 million. All those notes are triple-A rated, including a one-year maturity $125 million A-1 tranche that carries that AAA-equivalent ‘A-1+’ rating for money-market notes.
The A-2 level that follows in the capital stack is a $350 million notes issue that GM plans to split between a pair of fixed and and floating rate notes due July 2018. There is also a Class A-3 slice for $336 million due June 2019 and an A-4 tranche for $80.7 million due March 2020.
The subordinate notes – all due in 2020 – include $41.82 million ‘AA’ in rated Class B notes; $38.56 million in ‘A+’ rated Class C notes and $29.87 million in ‘BBB+’ rated Class D notes.
JPMorgan is the lead underwriter.
As in the GM Financial Automobile Leasing Trust 2015-3 (underwritten by Deutsche Bank and issued last October), the collateral consists of monthly lease payments and base residual values of a pool of lease contracts originated by GM dealers for GM-branded cars, SUVs, crossover utility vehicles and pickup trucks. The ratings, subordination, credit enhancement and overcollateralization figures are unchanged from three previous lease securitizations from GM.
The expected 1.15% credit loss for the 2016-1 $1.086 billion securitization pool value is in line with the 2015-3 trust. CE on the Class A notes in 2016-1 will initiate at 18.85% with a targeted hard CE of 21.4%, the same as in 2015-3.
S&P notes some differences in the new securitization, which is the sixth overall for GM Financial and the third rated by the agency. The weighted average FICO score rose to 751 from 2015-3’s 745, and the percentage of leases with an original term of 36 months or lease rose to 34% from 27.8% last year.
In turn, the number of long-term leases up to 48 months – considered a greater risk of loss – decreased to 66% of the 2016-1 pool compared to 2015-3’s 72.3% share.
Trucks also represented a higher percentage of the leases, increasing to 22.9% from 20.3%.
The structure of the deal is similar to GM Financials 2015 deals that include a nonamortizing reserve amount and initial OC with target levels that are nonamortizing. The OC is initially 7.7%, but will have a target of 10.75%.
